Once all of the search criteria are filled out in the Search options menu, please click the "New Search" button at the bottom:
This action launches the search, and at the same time, it gets saved into the History.
If you are building a complex query and there is a need to save the criteria without launching the search, you can instead use the "Save parameters" button which will instantly save the search configuration to the History:
This way, you do not need to wait for the search to be processed, but you can execute it from History later on.